Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0252
Annualized Std Dev 0.2222
Annualized Sharpe (Rf=0%) 0.1132

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1041
Quartile 1 -0.0070
Median 0.0002
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0075
Maximum 0.1718
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0140
Skewness 0.2177
Kurtosis 8.6362

Downside Risk

Close
Semi Deviation 0.0099
Gain Deviation 0.0098
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.6218
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0323
Modified VaR (95%) -0.0195
Modified ES (95%) -0.0214
From Trough To Depth Length To Trough Recovery
2000-04-03 2003-04-25 2020-11-27 -0.6218 5198 768 4430
2000-01-03 2000-03-13 2000-03-31 -0.1303 63 49 14
1999-04-15 1999-05-27 1999-06-11 -0.1010 41 31 10
1999-02-03 1999-03-02 1999-03-10 -0.0769 25 19 6
2021-02-17 2021-03-08 NA -0.0621 24 14 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.6 -1.2 3.3 -2.5 3.3 2 2.4 4.2 2.2 -1.3 0 0.8 13
2000 0 2.1 3.9 2 1.3 -0.4 0.9 0.9 0 -0.5 3.2 -0.6 13.6
2001 0.4 -1.3 -1.2 2.4 -0.6 0.3 1.8 1.6 -0.6 1.3 0.5 -1.8 2.6
2002 -1.3 4.4 -3.3 0.7 -0.4 -1.2 -2.4 0.5 0.7 1.9 0.7 -0.4 -0.4
2003 -0.1 -0.3 1.2 0.3 0.6 2.6 -1.2 0.7 4.1 -1.9 3 0.4 9.7
2004 0 3.1 1.1 -1.4 -0.6 -1.8 1.1 -0.2 2.3 -0.3 1.4 1.2 5.9
2005 0.6 0.7 -0.3 1.8 0.6 0 0.9 0.9 -1.6 1 2.3 -0.7 6.3
2006 -0.3 0.9 -0.3 0.3 0.4 0.8 -1.5 0.9 -0.1 -0.4 0.1 0.1 0.9
2007 1.3 -0.5 -0.7 0 0.5 1 -0.8 2.2 1.1 -1.3 0.2 0.2 3.4
2008 0.9 -1.2 2.9 0.9 1.3 0.4 -1.4 0.1 -1.2 -0.1 -5.8 0.8 -2.6
2009 -2.4 0.8 2.9 1.5 1.6 1.2 0.5 -1.5 -2.5 -1.2 3.5 -0.8 3.3
2010 1 1 1.5 -0.3 -0.4 0.3 -0.8 2.8 0.2 -1 2 0.4 6.9
2011 2 -0.2 -0.1 0.2 -1.3 0.9 -1 -0.9 -2.6 -1.3 -1.4 0.8 -4.8
2012 0.7 0.6 0.3 -1 -2.7 2.1 -0.3 0.1 -0.3 1 -0.4 0.8 0.7
2013 -0.3 1 -3.9 -1.1 -2.3 1.2 2.7 -2 -0.4 -1 -0.1 0.2 -6
2014 -2.6 0.5 0.3 1.3 0.2 1.7 -0.1 -0.2 -1.6 5 0.5 -0.5 4.3
2015 -1.7 -0.4 0.4 1.2 0.5 0.7 0.8 -4.5 0.7 -0.5 1.5 -1 -2.4
2016 -0.6 2.5 -2.5 -0.9 -0.1 -0.2 0.3 0.7 -0.2 -0.4 -0.8 0 -2.1
2017 0.5 1.2 -0.9 0.4 0.9 0.3 0.6 -0.4 0 0.6 -0.5 0.2 2.9
2018 0.5 -2.9 1.3 -0.1 0.7 -0.3 0.6 0.2 0.7 -0.2 0.1 -0.2 0.3
2019 -0.4 0.3 1.3 -0.3 -1.1 1.4 0 0.3 -0.4 1 -0.9 0.3 1.4
2020 -1.6 -0.1 -4.8 -1.8 1.5 -0.2 -2.6 0.3 0 -0.6 2.1 0.3 -7.4
2021 1 1.7 0.7 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  40.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  40.5 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  41   SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  41.2 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  41.2 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  40.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart